Large deviation for BSDE with subdifferential operator
In this paper we prove that the solution of a backward stochastic differential equation, which involves a subdifferential operator and associated to a family of reflecting diffusion processes, converges to the solution of a deterministic backward equation and satisfes a large deviation principle.
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2006 |
| País: | España |
| Institución: | Universitat Autònoma de Barcelona |
| Repositorio: | Dipòsit Digital de Documents de la UAB |
| Idioma: | inglés |
| OAI Identifier: | oai:ddd.uab.cat:44223 |
| Acceso en línea: | https://ddd.uab.cat/record/44223 |
| Access Level: | acceso abierto |
| Palabra clave: | Equacions estocàstiques diferencials Equacions integrals estocàstiques |
| Sumario: | In this paper we prove that the solution of a backward stochastic differential equation, which involves a subdifferential operator and associated to a family of reflecting diffusion processes, converges to the solution of a deterministic backward equation and satisfes a large deviation principle. |
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